会计系2019双周论坛第五讲

主 题：Earnings Informativeness and Overnight Return at Earnings Announcement: Evidence from China

主讲人: 张然（北京大学光华管理学院）

时 间：2019-04-08 10:00

地 点：明德商学楼502室

语 言：中文

We examine earnings informativeness of Chinese A-share market and find that Chinese A-share market is analogous to the U.S. market in terms of earnings value relevance and market responses to earnings information. More importantly, with the uniqueness of information disclosure and trading regulation, we show a striking phenomenon that overnight return at earnings announcement reacts efficiently to earnings and conveys relevant information for firm’s future fundamentals and stock return performances while intraday response solely adds noises to overall market response to earnings.  A long-short strategy based on this effect yields monthly alpha of 91.3 basis points.  Further analyses indicate that the phenomenon exists in other informational events such as management forecasts of earnings, and that the phenomenon is more pronounced in stocks that are associated with more retail investor trading.  Our results collectively support the usefulness of earnings in China and highlight the importance of the information conveyed by overnight trading in the unique setting.